Financial Markets and Investment Strategies
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Peer reviewed
Abstract
Abstract
This study compares the performance of time-series (TS) and cross-sectional (CS) momentum strategies in the Taiwan stock market from January 1993 to December 2025. Using a sample of 1169 listed and delisted firms, we construct five TS and five CS momentum strategies across multiple lookback and holding periods, resulting in 80 TS and 80 CS strategy specifications. Strategy performance is evaluated using annualized average excess returns (AERs), certainty equivalent returns (CERs), CAPM alphas, and Fama–French three-factor (FF3) alphas. The results show that volatility-scaled strategies significantly outperform conventional momentum strategies. On average, TS strategies generate higher returns and superior risk-adjusted performance than CS strategies. Decomposition analysis indicates that momentum profits are primarily driven by long positions, while short positions become more important during market crash periods. Overall, the findings highlight the importance of volatility management in enhancing momentum profitability in the Taiwan stock market.
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@article{Huang2026Performance,
title = {The Performance Comparison Between Time-Series and Cross-Sectional Momentum Strategies in Taiwan Stock Market},
author = {Hung‐Hsi Huang and Yi-Ru Pan and Ching-Ping Wang},
journal = {Journal of risk and financial management},
year = {2026},
doi = {10.3390/jrfm19070462},
url = {https://doi.org/10.3390/jrfm19070462}
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